Application of Box-Jenkins models for forecasting global rubber market trends

Bahrom, Suhaila (2025) Application of Box-Jenkins models for forecasting global rubber market trends. In: 19th International Conference on Business Studies and Education (ICBE), 29-30 September 2025, Virtual.

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Abstract

Global rubber prices are subject to fluctuations influenced by market demand, supply dynamics, and economic factors, making accurate forecasting essential for producers, traders, and policymakers. This study aims to apply the Box–Jenkins ARIMA model to forecast monthly global rubber prices from October 2021 to April 2025 and evaluate the forecasting performance. Monthly rubber price data from the Federal Reserve Economic Data (FRED) database, covering the period from January 1990 to April 2025, were analysed, with the dataset split into 90% for training and 10% for testing. Two models, ARIMA(0,1,1) and ARIMA(1,1,0), were developed and compared based on forecasting accuracy using Mean Absolute Error (MAE), Root Mean Squared Error (RMSE), and Mean Absolute Percentage Error (MAPE). Results indicate that ARIMA(0,1,1) provided slightly better accuracy (MAE = 15.82, RMSE = 18.70, MAPE = 16.83%) than ARIMA(1,1,0), suggesting that ARIMA(0,1,1) produces good predictions for short-term projections of global rubber prices. These projected results may offer useful insights for Malaysia, as one of the world’s leading natural rubber exporters, in guiding trade planning, supporting risk management, and informing future strategies. Future research could integrate volatility models, exogenous economic variables, or hybrid approaches to strengthen predictive performance and enhance the practical relevance of modelling outcomes.

Item Type:	Proceeding Paper (Other)
Uncontrolled Keywords:	Arima Model; Box-Jenkins; Global Rubber Price; Time Series Analysis
Subjects:	Q Science > QA Mathematics Q Science > QA Mathematics > QA276 Mathematical Statistics Q Science > QA Mathematics > QA300 Analysis
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button):	Centre for Foundation Studies
Depositing User:	SUHAILA BAHROM
Date Deposited:	26 Nov 2025 09:16
Last Modified:	26 Nov 2025 09:16
Queue Number:	2025-11-Q130
URI:	http://irep.iium.edu.my/id/eprint/123996

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